This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...

Using the intuition that financial markets transfer risks in business time, we define “market microstructure invariance” as the hypothesis that the distribution of risk transfers (“bets”), transactions costs, market resiliency, and pricing accuracy are constant across assets when...

Using the intuition that financial markets transfer risks in business time, “market microstructure invariance” is defined as the hypotheses that the distributions of risk transfers (“bets”) and transaction costs are constant across assets when measured per unit of business time. The...

The hypothesis of “market microstructure invariance” — based on the intuition that the size and costs of transferring risk in “business time” is constant across assets and time — is tested using a database of 400,000 portfolio transition trades. Defining trading activity W as the...

Using the intuition that financial markets transfer risks in "business time," we define "market microstructure invariance" as the hypothesis that the size distribution and transaction costs of risk transfers ("bets") are constant across assets and time. Defining trading activity W as the product...